the leggings I run in are thick enough so nobody sees my undies when I stretch or do yoga, but still summer ones, meaning not made of fleece. I like them because behind the knees they’re made of mesh so my legs breathe more easily. After exercising for 2 hours outdoors my legs ain’t cold. The winter ones from the same brand are made of fleece and don’t have this behind-the-knees mesh window.
If you use fleece leggings, don’t they get too hot?
I think the biggest issue is starting your workout with cold muscles. If you’re just doing yoga then it’s no big deal. If you’re running, or hiking, then you don’t really want to do that with cold muscles or injury is more likely.